Dividend-Yield Investment Strategies

• Main Authors: Yung-Chang Cheng, 鄭雍璋
• Other Authors: Kuang-Ping Ku
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/g6gzgj

碩士 === 淡江大學 === 財務金融學系碩士班 === 106 === This study explores whether exist dividend-yield effects and attempts to explain it using company characteristics or risk factors. This paper uses common stocks listed on the Taiwan Stock Exchange or the Taipei Exchange from January 2006 to December 2016 as the research sample, and construct portfolios of dividend yield based on the dividend yield or the cash dividend yield. This study tested whether there are significant differences in average raw returns or characteristic-adjusted returns among dividend-yield portfolios. Then, single-factor, three-factor and five-factor models are used to measure the average performance of dividend-yield portfolios. Finally, this study explores the cross sectional relationships between average returns and divided yields. The results show that there are significant dividend-yield effects on the Taiwan stock market, that is, there are significant positive relationships between average returns and dividend yields. Although company characteristics or risk factors do not fully explain the existence of dividend-yield effects, the significant dividend-yield effects can be used as an important reference for investors to form and adjust investment strategy.